Does Insider Trading Raise Market Volatility?
March 1, 2003
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Summary
This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitively significant when compared with the effect of economic fundamentals.
Subject: Asset prices, Corruption, Financial institutions, Financial markets, Income distribution, Legal support in revenue administration, National accounts, Prices, Revenue administration, Stock markets, Stocks
Keywords: Africa, anti-insider-trading law, Asset prices, Europe, growth rate, Income distribution, insider trading, insider trading activity, insider trading index, insider trading prohibition, insider trading Sanctions Act, Legal support in revenue administration, market volatility, Stock markets, Stocks, WP
Pages:
42
Volume:
2003
DOI:
Issue:
051
Series:
Working Paper No. 2003/051
Stock No:
WPIEA0512003
ISBN:
9781451847130
ISSN:
1018-5941
